Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 23 (1D) Oct 24 (2D) Oct 27 (5D) Oct 28 (6D) Oct 29 (7D) Oct 30 (8D) Oct 31 (9D) Nov 03 (12D) Nov 04 (13D) Nov 05 (14D) Nov 07 (16D) Nov 14 (23D) Nov 21 (30D) Nov 28 (37D) Dec 05 (44D) Dec 12 (51D) Dec 19 (58D) Dec 26 (65D)
lower 661.299 658.606 653.262 651.875 650.599 649.411 648.296 645.278 644.359 643.474 641.794 636.62 632.19 628.253 624.674 621.37 618.286 615.383
upper 674.301 676.994 682.338 683.725 685.001 686.189 687.304 690.322 691.241 692.126 693.806 698.98 703.41 707.347 710.926 714.23 717.314 720.217
expected move 6.501 9.194 14.538 15.925 17.201 18.389 19.504 22.522 23.441 24.326 26.006 31.18 35.61 39.547 43.126 46.43 49.514 52.417
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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